Check out the Region Roots blog from the Lake County (Indiana) Public Library in Merrillville for the quick version of where to look for naturalizations of people in the county. Short version: they could be next door, on the south side of Chicago (Great Lakes branch of the National Archives), or on the east side of Indianapolis (state archives). I have a feeling that in some cases this handy outline may be just the beginning of an even longer and more convoluted story . . .